Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0140
Annualized Std Dev 0.2243
Annualized Sharpe (Rf=0%) -0.0624

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1246
Quartile 1 -0.0059
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0066
Maximum 0.1944
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0141
Skewness 0.0112
Kurtosis 19.6198

Downside Risk

Close
Semi Deviation 0.0103
Gain Deviation 0.0104
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.6086
Historical VaR (95%) -0.0201
Historical ES (95%) -0.0350
Modified VaR (95%) -0.0176
Modified ES (95%) -0.0176
From Trough To Depth Length To Trough Recovery
2005-02-14 2020-03-23 NA -0.6086 4053 3802 NA
2004-01-21 2004-05-10 2005-01-31 -0.2591 260 77 183
1999-07-07 2000-05-24 2000-12-29 -0.1582 377 225 152
2002-09-04 2002-10-21 2003-02-11 -0.1280 111 34 77
2003-05-23 2003-09-10 2004-01-16 -0.0954 165 76 89

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 2 0 -0.6 0 0.6 0.7 0.7 -1.4 0.3 0.7 1.4 4.4
2000 -2.1 0 0.7 0.7 -0.4 -1.4 0 -1.3 0.7 0 -1.3 1.9 -2.5
2001 0.2 -0.6 0.4 1.4 -0.1 -1.2 0.4 0.5 1.7 -0.4 1.2 -0.7 2.7
2002 -1.1 -0.9 -0.3 -0.1 -0.2 2.6 -0.5 0.3 -0.3 0.9 1 0.7 2.1
2003 -0.5 0.1 1 -0.9 0.2 -0.9 -0.4 -0.1 0.5 0.8 0.5 -0.2 -0.1
2004 1 -0.7 -0.3 -1.2 -0.8 1.6 0.5 -1.4 -0.5 -0.2 -2.2 0.2 -4
2005 0.6 -1.5 1 -2.8 -0.7 0.9 0.2 -1.1 -0.5 -0.1 1.3 -0.2 -2.9
2006 -0.2 -1.3 -0.1 1.5 -0.1 2 -5.2 0.6 0.2 -1 -0.8 0.3 -4.2
2007 -0.9 -2.9 -0.9 -1 -0.4 -0.8 -2 -0.8 0.6 -0.8 3.2 1.7 -5.1
2008 -0.4 0.7 0.8 -0.8 -3.3 -1.3 2.1 0.8 1.9 4.1 -0.9 -2.4 1.1
2009 -3.7 -2.1 0.8 -2.7 -1 2 0.7 -0.9 -0.1 -0.2 0 -2.3 -9.1
2010 2.3 -0.1 0.2 0.5 -0.2 -0.4 0.5 1.3 1.4 0.7 -0.7 2.2 8
2011 0.1 0.6 0.2 0.6 -0.5 0.3 3.6 1.2 -1.6 -1 0.3 0.2 3.9
2012 0.8 1 0.6 0.7 -0.4 -0.8 1 1.8 1.6 0.8 -0.3 2.3 9.6
2013 -0.6 0.6 -1.1 0.7 -0.8 -0.1 0.3 0.5 1 -0.8 0.5 0.5 0.5
2014 0.2 0.3 0.8 -0.3 -0.1 0.1 -0.8 0.1 2.1 1.1 -0.5 -0.4 2.6
2015 0.8 0.2 0.9 0.4 0 0.3 0.8 -0.2 -1.3 0 1.1 0.6 3.7
2016 0.1 2.9 0.7 0.9 1.5 0.7 -1.2 -0.3 0.5 -4.9 -0.3 0.5 0.7
2017 0.4 -0.1 0.7 0.2 0.6 0.2 -2.3 0 -0.1 -1.3 0.1 -1.8 -3.4
2018 1.3 0.4 1.5 0.4 0.5 0.7 0.9 0.5 -0.1 1.9 1 0.8 10.5
2019 0.7 0.3 -0.6 1.4 -0.4 1.1 0.8 0.2 0.6 -0.2 -0.9 -0.2 2.9
2020 -0.2 -10.3 -7.5 0.5 2.3 3.5 0.6 0.9 0.3 -0.3 -0.1 0.4 -10.3
2021 0.4 -0.8 -0.6 NA NA NA NA NA NA NA NA NA -0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.81 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.75 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.75 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.69 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.59 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.5  SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart